Basel III
WHAT IS THIS? Basel III is a set of bank soundness rules drawn up by the Basel Committee on Banking Supervision in response to the financial crisis. It hikes the minimum amount of capital banks must hold, introduces new leverage and liquidity ratios, and limits the use of internal models.
Industry-led op risk taxonomy launches
Scheme aims to complement Basel classifications, ease peer comparison
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
G-Sibs eye simpler market risk calculations in Hong Kong
HKMA may need to ease rules on NMRFs to incentivise use of internal models
Over four years, US G-Sibs slash securitisation charges
Banks also have more exposures capitalised using sophisticated calculation approaches than in years prior
The theoretical foundations of XVAs
Bloomberg analyses the theoretical basis of XVAs, focusing on the works and findings of its head of quantitative XVA analytics, Mats Kjaer, who emphasises the role of the capital valuation adjustment as a major driver of derivatives trading profitability…
CCP defaults, Pillar 2 charges and robo-raters
The week on Risk.net, November 9–15, 2019
EBA’s Campa: reduce Pillar 2 charges to offset output floor
Bankers plead for smaller capital hit and more predictability on implementation of Basel III
JP Morgan revs up securitisation engine
Exposures receiving securitisation capital treatment increase by $13.7 billion year-on-year
Banks feel chill of exposure from Fed’s SCCL
US rules on counterparty credit limit pose challenges for risk and regulatory teams despite proposed delay, says expert
FRTB costs force banks to weigh IMA desk by desk
Risk USA: Some desks “may not be able to pass these more rigorous standards”, says Morgan Stanley FRTB lead
Chafing under capital rules, JP Morgan sells home loans
Standardised risk weights for residential mortgages far exceed modelled equivalents
ING confident of capital target despite headwinds
Countercyclical capital charges push minimum capital requirement higher
Eurozone G-Sibs’ modelled risk weights well below average
Six of eight systemic lenders have modelled risk weights lower than the G-Sib and European mean
Stress-testing: still worth the stress?
There may be more efficient ways to assess if banks are misjudging their risks
PRA grants Barclays £1bn op risk capital relief
Op RWAs fall to £42.5 billion in Q3
Frandt or foe? FCMs hit back at Esma buy-side clearing salvo
Esma pushes dealers to publish standardised fee schedules amid clearing capacity fears
Basel III risk-weight changes to tax European banks most
Risk-weighting of IRB exposures to increase 2.8% overall
Keeping watch: EBA stress-testing head plans overhaul
Top-down approach, dynamic balance sheet and multiple shock scenarios all possible for 2022
Banks detect daylight between EC and EBA on op risk capital
EC consultation seeks input on ‘cliff effects’ of including past losses
Basel members speed up implementation of banking reforms
Most rules now adopted by more than half of member jurisdictions
PNC eyes $50m windfall from regulatory easing
Capital relief could be used to plump shareholder distributions next year
Basel III heralds wild CVA capital swings
Minimum required capital for CVA to climb 64% for large banks, but some banks will see falls of up to 67%
Funding risk of global banks varies
Basel study shows European banks have seen net cash outflows increase just 7.7% in four years
Basel output floor to bind 29% of big banks
But risk-based capital requirements would constrain the largest number of international lenders